IEF Options History — March 2024

In March 2024, IEF traded between $93.56 and $95.20. ATM implied volatility averaged 7.4%, placing in the 2.6% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded above realized volatility by 1.6% (HV 20d: 5.8%). Max pain ranged from $94.00 to $96.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 16.91.

Notable Days

  • 2024-03-13: Highest Volume — 124,987 contracts
  • 2024-03-18: Largest IV spike — 9.7% change
  • 2024-03-18: Highest IV Rank — 10.2%
  • 2024-03-04: Largest Expected Move — 2.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$94.42$93.56$95.20$94.40$94.65
Max Pain$94.10$94.00$96.00$96.00$94.00
ATM IV7.4%6.6%8.2%7.6%6.7%
Expected Move2.1%1.9%2.3%2.3%1.9%
HV 20d5.8%5.0%8.3%8.3%5.0%
HV 60d7.1%6.7%7.7%7.7%6.7%
IV Rank2.6%0.0%10.2%2.0%0.7%
IV Percentile5.2%0.0%20.2%2.8%0.8%
Term Structure-0.1%-0.4%0.5%0.1%0.3%
VWIV7.4%6.6%8.3%8.3%7.2%
Skew 25d0.2%-0.3%0.7%0.3%-0.3%
Skew 10d0.2%-0.5%1.1%-0.5%1.1%
Call IV 25d7.3%6.5%8.1%7.7%6.6%
Put IV 25d7.5%6.3%8.6%8.0%6.3%
Bid-Ask Spread %94.9184.90106.9099.2895.29
Gamma HHI0.150.120.190.140.19
Net GEX4.8M-109.5M92.6M92.6M86.5M
Net DEX111.5M-139.1M467.2M50.4M-92.9M
Net VEX-3.7M-4.1M-3.4M-3.9M-3.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio16.910.07160.902.184.90
Total Volume39,342.64,317124,98746,18814,253
Total OI401,986.25334,778457,386401,457409,655

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-03-01$94.40$96.007.6%2.3%8.3%2.0%8.3%0.3%0.1%92.6M50.4M-3.9M2.1899.2814,50631,682232,857168,600
2024-03-04$94.19$94.008.2%2.3%7.2%6.0%8.0%0.5%-0.1%15.8M231.0M-3.7M1.9092.2714,98928,528230,545164,602
2024-03-05$94.78$94.008.0%2.2%6.8%4.4%7.9%0.7%-0.1%39.6M67.7M-3.6M2.6795.2613,36935,679227,265161,434
2024-03-06$94.95$94.008.0%2.2%6.4%4.8%7.8%0.5%-0.1%44.1M16.0M-3.6M12.3096.068,196100,814228,992165,396
2024-03-07$95.13$94.008.0%2.2%6.4%4.5%7.8%0.2%-0.2%43.9M-35.9M-3.7M1.8697.2134,55764,321228,255165,842
2024-03-08$95.20$94.007.8%2.2%6.2%3.3%7.7%0.1%-0.1%57.9M-96.0M-4.1M4.5993.4210,93550,159257,859195,511
2024-03-11$95.13$94.007.9%2.2%6.2%3.6%7.7%0.2%-0.1%17.0M-18.7M-3.9M28.6796.551,51943,555245,360209,296
2024-03-12$94.72$94.007.4%2.1%6.4%0.6%7.2%0.2%-0.2%8.0M169.8M-3.6M77.5494.0954742,417245,509209,801
2024-03-13$94.48$94.007.2%2.0%5.0%0.0%7.5%0.2%-0.1%-23.2M312.9M-3.7M160.90102.95772124,215245,851211,535
2024-03-14$93.81$94.007.3%2.1%5.5%1.2%7.3%0.3%-0.1%-109.5M464.1M-3.5M20.4792.082,39849,094246,036198,423
2024-03-15$93.70$94.007.1%2.0%5.5%0.0%7.1%0.0%-0.3%-98.0M467.2M-3.4M1.38106.904,7616,551248,215196,955
2024-03-18$93.56$94.007.8%2.2%5.2%10.2%7.7%0.4%-0.2%-82.4M328.5M-3.5M0.6393.066,7704,253188,942145,836
2024-03-19$93.82$94.007.5%2.1%5.3%6.3%7.5%0.1%-0.4%-70.7M236.1M-3.5M1.5997.383,7595,973195,153149,025
2024-03-20$94.06$94.007.2%2.1%5.3%1.9%7.0%0.2%-0.4%-61.7M162.2M-3.7M0.88103.336,0425,289198,203153,989
2024-03-21$94.06$94.006.8%2.0%5.2%0.0%6.9%0.1%-0.0%-56.4M170.5M-3.5M0.0784.9021,1001,479202,811153,806
2024-03-22$94.47$94.006.9%2.0%5.0%1.2%6.8%-0.2%-0.1%48.4M-81.4M-3.9M8.2988.486475,363226,795155,103
2024-03-25$94.25$94.007.0%2.0%5.0%1.8%7.0%-0.2%0.2%30.6M34.9M-3.6M0.6186.942,6891,628224,600160,088
2024-03-26$94.41$94.006.6%1.9%5.0%0.0%6.7%-0.1%0.5%59.6M-18.1M-3.7M5.7491.102,71015,568225,819161,581
2024-03-27$94.70$94.006.6%1.9%5.0%0.2%6.6%-0.2%0.3%53.3M-139.1M-3.8M0.9691.732,9442,821228,361175,819
2024-03-28$94.65$94.006.7%1.9%5.0%0.7%7.2%-0.3%0.3%86.5M-92.9M-3.6M4.9095.292,41511,838230,658178,997